The Balrog is more powerful since it is a Mair almost the equivalent of Sauron while the witch king is merely a servant of Sauron a lesser evil. Then again maybe this Balrog wasn't as powerful as most.

The balrog by a country mile. The WK would, at best (sauron with the ring) still only have a portion of Sauron's power. Whereas the balrog is almost as strong as Sauron himself. I would expect Gandalf (white or grey) to take the witch king to pieces given the opportunity. The fact that he fought off all 9 on Weathertop at night is revealing.